Managing Hedge Fund Risk Course
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Location: London (Central) |
Dates: 29.10.2012 - 30.10.2012 | Duration: 2 Days | Price: 1,995.00 GBP |
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Topics: analysis of the key elements contained within overall hedge fund risk, including liquidity, leverage and transparency. Compares and evaluates the tools for measuring and managing hedge fund risk, role of technology in managing risk, as well as business risk for hedge fund advisers Objectives: Delegates will learn to identify risk factors, develop risk mitigation strategy Format: presentations by trainer, interactive discussions between trainer and delegates, case studies and exercises by delegates. WHAT YOU WILL LEARN: “The tutor’s depth of knowledge made this an excellent course which I would definitely recommend.” Mark Anson, Citigroup Global Capital Markets Course categories:Hedge Funds Courses, Risk Management Courses, Hedge Funds Inhouse, Risk Management Inhouse |
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DAY ONE - INVESTMENT RISK INTRODUCTION Understanding hedge fund risk: what is risk? How do hedge fund risks differ from those of traditional investment strategies? A review of the market and operational risks associated with hedge fund investments. TRADITIONAL INVESTMENT RISK MEASUREMENT Understanding market and credit risk related to a diverse range of hedge fund investment strategies; why the most basic risk measurements such as standard deviation and confidence levels fail to measure hedge fund risk adequately. What is Extended Tail Loss (ETL)? Where is VaR helpful; and where is it off target? Monte Carlo simulations: an effort to pick up where VaR falls off; stress testing including key drivers and factor analysis; measuring and reporting of investment risk by hedge funds to investors. How diversification and/or structured products affect hedge fund risk profiles. OPERATIONAL AND LIQUIDITY RISK How do you compare procedures? How do you quantify operational risk management practices? Hedge fund manager considerations: instrument liquidity, redemption liquidity, financing liquidity; fund-of-fund manager considerations: lock-ups, payments in kind, liquidity mismatches, coupon and corporate action errors, fails. REGULATORY, LEGAL &COUNTERPARTY CREDIT RISK Overview of regulatory trends; impact of stricter regulation on fund operations; risk and returns; legal entity risk. How does a hedge fund manage its counterparty risk? How do dealers treat funds? Should hedge funds provide credit protection to institutions? Impact of Basel II on hedge funds and the industry; why are/arent more hedge funds rated? Exercise: Identification and classification of investment risks in a hedge fund portfolio. PORTFOLIO DIVERSIFICATION AS A RISK MANAGEMENT TOOL How do multi-strategy hedge funds and fund of funds affect risk? Who are the major players and how are fees charged? What is the role of structured products and PPN as risk mitigants and at what cost? Exercise: Participants will review key points from the day and perform a practice risk assessment and asset allocation exercise. |
DAY TWO - BUSINESS RISK ASSESSMENT ROLE OF TECHNOLOGY IN RISK MITIGATION AND REPORTING Electronic forms of information: to gather position data from managers, prime brokers and counterparties; to reconcile positions independently; to analyse risk using VaR, stress testing, correlation analysis and concentration analysis; to calculate a daily (or real-time) NAV; to report NAV and risk information in a customised and client-friendly format. ROLE OF FUND ADMINISTRATORS, AUDITORS AND INDEPENDENT VALUATIONS IN MITIGATING RISK Are fund administrators helpful in mitigating risk? What are the pros and cons of independent valuation and marking to model of illiquid and complex securities? What reliance is placed on independent audits? TRANSPARENCY: THE GREAT DEBATE Different kinds of transparency; when is there too much transparency; when can transparency harm rather than protect. Case Study: the Madoff fraud vs the Amaranth collapse. ASSESSMENTS OF BUSINESS RISK OF HEDGE FUND ADVISERS What is the impact of the hedge fund managers ability to run a business with regards to hedge fund performance and associated risks? Analysis of the key cash flows of a hedge fund advisers business (management fee, performance fee) and the impact on the viability of the business; one product vs. multi-product providers. WHY HEDGE FUNDS FAIL Reasons for hedge fund failures: fraud, mismanagement, and markets. OTHER RISKS Other risks hedge fund advisers face: non-quantifiable risks such as key staff loyalty, protection of intellectual property and reputation-related risks. |
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CONTACT US |
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Email: info@financialveritas.com Phone: +44 208 133 5917 |
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